Variable selection and structure identification for varying coefficient Cox models

Toshio Honda and Ryota Yabe

Journal of Multivariate Analysis, 2017, vol. 161, issue C, 103-122

Abstract: We consider varying coefficient Cox models with high-dimensional covariates. We apply the group Lasso to these models and propose a variable selection procedure. Our procedure can cope with simultaneous variable selection and structure identification for high-dimensional varying coefficient models to find true semi-varying coefficient models from them. We also derive an oracle inequality and closely examine restrictive eigenvalue conditions. We focus on Cox models with time-varying coefficients. The theoretical results on variable selection can be extended easily to some other important models which we only mention briefly since they can be treated in the same way. The models considered here are the most popular among structured nonparametric regression models. The results of numerical studies are also reported.

Keywords: B-spline basis; Censored survival data; Group Lasso; High-dimensional data; Semi-varying coefficient model; Structured nonparametric regression model (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0047259X17304311
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:161:y:2017:i:c:p:103-122

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.jmva.2017.07.007

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().